Though the memories of '03 are still fresh in my mind, I agree with Quetzalcoatl on this one. Getting to the final and losing would be heartbreaking, no doubt.
But the excitement of reaching that point, the exhilaration of getting to that point and knowing that we're stepping in the right direction and no longer a QF club but a bonafide finalist challenger would be worth that heartbreak.
It is a necessary step to reach that point, the finals, even if we don't win. And, let's not forget the financial benefits of reaching the finals would be huge compared to a simple QF finish.